Quantitative Finance

Authors and titles for Mar 2024

[1]  arXiv:2403.00006 [pdf, other]

Title: Local sensitivity analysis of heating degree day and cooling degree day temperature derivatives prices

Authors: Sara Ana Solanilla Blanco

Subjects: Pricing of Securities (q-fin.PR); Probability (math.PR)

[2]  arXiv:2403.00009 [pdf, other]

Title: Randomized Control in Performance Analysis and Empirical Asset Pricing

Authors: Cyril Bachelard, Apostolos Chalkis, Vissarion Fisikopoulos, Elias Tsigaridas

Comments: 57 pages, 7 figures, 2 tables

Subjects: Portfolio Management (q-fin.PM); Computational Geometry (cs.CG); Computational Finance (q-fin.CP)

[3]  arXiv:2403.00139 [pdf, other]

Title: Optimal positioning in derivative securities in incomplete markets

Authors: Tim Leung, Matthew Lorig, Yoshihiro Shirai

Comments: 22 pages, 3 figures

Subjects: Mathematical Finance (q-fin.MF)

[4]  arXiv:2403.00471 [pdf, other]

Title: Idiosyncratic Risk, Government Debt and Inflation

Authors: Matthias Hänsel

Subjects: General Economics (econ.GN)

[5]  arXiv:2403.00474 [pdf, ps, other]

Title: Volatility-based strategy on Chinese equity index ETF options

Authors: Peng Yifeng

Subjects: General Finance (q-fin.GN); Trading and Market Microstructure (q-fin.TR)

[6]  arXiv:2403.00523 [pdf, ps, other]

Title: Assessing the Efficacy of Heuristic-Based Address Clustering for Bitcoin

Authors: Hugo Schnoering, Pierre Porthaux, Michalis Vazirgiannis

Comments: 20 pages

Subjects: General Finance (q-fin.GN); Cryptography and Security (cs.CR); Social and Information Networks (cs.SI)

[7]  arXiv:2403.00653 [pdf, ps, other]

Title: Modelling Global Fossil CO2 Emissions with a Lognormal Distribution: A Climate Policy Tool

Authors: Faustino Prieto, Catalina B. García-García, Román Salmerón Gómez

Comments: 28 pages, 6 figures

Subjects: General Economics (econ.GN)

[8]  arXiv:2403.00707 [pdf, other]

Title: Dimensionality reduction techniques to support insider trading detection

Authors: Adele Ravagnani, Fabrizio Lillo, Paola Deriu, Piero Mazzarisi, Francesca Medda, Antonio Russo

Comments: This work has been submitted to the IEEE for possible publication. Copyright may be transferred without notice, after which this version may no longer be accessible

Subjects: Statistical Finance (q-fin.ST)

[9]  arXiv:2403.00746 [pdf, other]

Title: A time-stepping deep gradient flow method for option pricing in (rough) diffusion models

Authors: Antonis Papapantoleon, Jasper Rou

Comments: 18 pages, 10 figures

Subjects: Computational Finance (q-fin.CP); Machine Learning (cs.LG); Probability (math.PR); Mathematical Finance (q-fin.MF)

[10]  arXiv:2403.00770 [pdf, other]

Title: Blockchain Metrics and Indicators in Cryptocurrency Trading

Authors: Juan C. King, Roberto Dale, José M. Amigó

Comments: 26 pages; 14 figures

Journal-ref: Solitons & Fractals, 178, 114305 (2024)

Subjects: Statistical Finance (q-fin.ST); Cryptography and Security (cs.CR)

[11]  arXiv:2403.00772 [pdf, other]

Title: Do Weibo platform experts perform better at predicting stock market?

Authors: Ziyuan Ma, Conor Ryan, Jim Buckley, Muslim Chochlov

Journal-ref: 2021, 22nd Engineering Applications of Neural Networks Conference (EANN 2021)

Subjects: Statistical Finance (q-fin.ST); Artificial Intelligence (cs.AI); Machine Learning (cs.LG); Social and Information Networks (cs.SI)

[12]  arXiv:2403.00774 [pdf, ps, other]

Title: Regional inflation analysis using social network data

Authors: Vasilii Chsherbakov, Ilia Karpov

Subjects: Statistical Finance (q-fin.ST); Computation and Language (cs.CL); Social and Information Networks (cs.SI)

[13]  arXiv:2403.00775 [pdf, ps, other]

Title: Detecting Anomalous Events in Object-centric Business Processes via Graph Neural Networks

Authors: Alessandro Niro, Michael Werner

Comments: 12 pages, 2 figures, to appear in the ICPM 2023 Workshops Proceedings

Subjects: Statistical Finance (q-fin.ST); Databases (cs.DB); Machine Learning (cs.LG)

[14]  arXiv:2403.00777 [pdf, ps, other]

Title: Combating Financial Crimes with Unsupervised Learning Techniques: Clustering and Dimensionality Reduction for Anti-Money Laundering

Authors: Ahmed N. Bakry, Almohammady S. Alsharkawy, Mohamed S. Farag, Kamal R. Raslan

Subjects: Statistical Finance (q-fin.ST); Machine Learning (cs.LG)

[15]  arXiv:2403.00782 [pdf, other]

Title: Ploutos: Towards interpretable stock movement prediction with financial large language model

Authors: Hanshuang Tong, Jun Li, Ning Wu, Ming Gong, Dongmei Zhang, Qi Zhang

Comments: 8 pages, 4 figures

Subjects: Statistical Finance (q-fin.ST); Artificial Intelligence (cs.AI); Computation and Language (cs.CL)

[16]  arXiv:2403.00785 [pdf, ps, other]

Title: Applying News and Media Sentiment Analysis for Generating Forex Trading Signals

Authors: Oluwafemi F Olaiyapo

Journal-ref: Review of Business and Economics Studies. 2023;11(4):84-94

Subjects: Statistical Finance (q-fin.ST); Machine Learning (cs.LG)

[17]  arXiv:2403.00796 [pdf, ps, other]

Title: Enhancing Mean-Reverting Time Series Prediction with Gaussian Processes: Functional and Augmented Data Structures in Financial Forecasting

Authors: Narayan Tondapu

Subjects: Statistical Finance (q-fin.ST); Artificial Intelligence (cs.AI); Machine Learning (cs.LG); Machine Learning (stat.ML)

[18]  arXiv:2403.00819 [pdf, other]

Title: Jump detection in high-frequency order prices

Authors: Markus Bibinger, Nikolaus Hautsch, Alexander Ristig

Comments: 33 pages, 6 figures, 5 tables

Subjects: Statistical Finance (q-fin.ST); Statistics Theory (math.ST)

[19]  arXiv:2403.01088 [pdf, other]

Title: Justifying the Volatility of S&P 500 Daily Returns

Authors: Hayden Brown

Subjects: Mathematical Finance (q-fin.MF)

[20]  arXiv:2403.01360 [pdf, ps, other]

Title: "Digitwashing": The Gap between Words and Deeds in Digital Transformation and Stock Price Crash Risk

Authors: Shutter Zor

Comments: 34 pages, 4 figures, 8 tables

Subjects: Statistical Finance (q-fin.ST); General Economics (econ.GN)

[21]  arXiv:2403.01468 [pdf, other]

Title: Properties of the entropic risk measure EVaR in relation to selected distributions

Authors: Yuliya Mishura, Kostiantyn Ralchenko, Petro Zelenko, Volodymyr Zubchenko

Comments: 16 pages, 7 figures

Subjects: Risk Management (q-fin.RM); Probability (math.PR)

[22]  arXiv:2403.01745 [pdf, other]

Title: Uncovering the Sino-US dynamic risk spillovers effects: Evidence from agricultural futures markets

Authors: Han-Yu Zhu, Peng-Fei Dai, Wei-Xing Zhou

Subjects: General Economics (econ.GN)

[23]  arXiv:2403.01770 [pdf, ps, other]

Title: Experimenting with Generative AI: Does ChatGPT Really Increase Everyone's Productivity?

Authors: Voraprapa Nakavachara, Tanapong Potipiti, Thanee Chaiwat

Subjects: General Economics (econ.GN)

[24]  arXiv:2403.01964 [pdf, other]

Title: The Heterogeneous Productivity Effects of Generative AI

Authors: David Kreitmeir, Paul A. Raschky

Subjects: General Economics (econ.GN); Artificial Intelligence (cs.AI)

[25]  arXiv:2403.02500 [pdf, ps, other]

Title: RVRAE: A Dynamic Factor Model Based on Variational Recurrent Autoencoder for Stock Returns Prediction

Authors: Yilun Wang, Shengjie Guo

Subjects: Portfolio Management (q-fin.PM); Machine Learning (cs.LG); Pricing of Securities (q-fin.PR)